Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0244 |
| Annualized Std Dev | 0.1718 |
| Annualized Sharpe (Rf=0%) | -0.1418 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4376.0000 |
| NAs | 1.0000 |
| Minimum | -0.2359 |
| Quartile 1 | -0.0034 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0036 |
| Maximum | 0.2173 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0108 |
| Skewness | -0.6355 |
| Kurtosis | 108.8078 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0079 |
| Gain Deviation | 0.0088 |
| Loss Deviation | 0.0100 |
| Downside Deviation (MAR=210%) | 0.0126 |
| Downside Deviation (Rf=0%) | 0.0079 |
| Downside Deviation (0%) | 0.0079 |
| Maximum Drawdown | 0.6181 |
| Historical VaR (95%) | -0.0122 |
| Historical ES (95%) | -0.0246 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2003-11-18 | 2020-03-18 | NA | -0.6181 | 4364 | 4110 | NA |
| 2003-11-03 | 2003-11-03 | 2003-11-04 | -0.0005 | 2 | 1 | 1 |
| 2003-11-10 | 2003-11-10 | 2003-11-17 | -0.0005 | 6 | 1 | 5 |
| 2003-11-05 | 2003-11-05 | 2003-11-06 | -0.0005 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0.2 | 0.1 | 0.2 |
| 2004 | -1 | -0.3 | 0.1 | 0.7 | 0.5 | 0.1 | 1 | 0.2 | -0.2 | 0 | 0 | 1.2 | 2.3 |
| 2005 | 0.2 | 0.4 | 0.4 | 0.2 | 0.4 | 1.3 | 0.3 | 0.2 | 0.6 | 0.2 | -0.2 | 1.2 | 5.3 |
| 2006 | -0.1 | 0.1 | 0.1 | -0.2 | 0.3 | 0 | 0.1 | 0.2 | 0.1 | -0.1 | 0.1 | 0.2 | 0.9 |
| 2007 | 0.3 | -0.3 | 0.1 | -0.2 | -0.1 | -0.2 | -2.1 | 0.5 | 1.1 | 0.4 | 1.2 | 0.2 | 0.8 |
| 2008 | 0.1 | -1.2 | 2.7 | 0.3 | 0.6 | -0.4 | 1.5 | 0.2 | 3.4 | 2.1 | -3 | 0.8 | 7.3 |
| 2009 | 0.8 | 0 | 1.8 | 3.2 | 1.4 | 1.1 | -1.3 | -0.4 | 0.2 | -2.4 | 1 | -0.9 | 4.6 |
| 2010 | -0.2 | 0.8 | 1.7 | -1.1 | 0.3 | 0.4 | 1.1 | 1.4 | 1 | 0.7 | 0.7 | 0.8 | 7.8 |
| 2011 | 0.6 | -0.3 | -0.3 | -0.3 | -0.1 | 0.4 | 2.4 | 1.8 | -3.7 | -0.6 | 0.8 | 0.3 | 0.9 |
| 2012 | -0.4 | 0.5 | -0.5 | 1.1 | -0.8 | 0.7 | -0.9 | 0.7 | 0.4 | 0.2 | -0.7 | 0.5 | 0.6 |
| 2013 | 1.3 | -0.1 | 0.2 | -0.4 | -2.2 | 1.7 | 0.8 | 0.3 | 0 | -1.4 | -0.1 | -0.1 | 0 |
| 2014 | 0.4 | 0.4 | -0.8 | 0.1 | 0.3 | -0.8 | -0.4 | -0.4 | -0.1 | -0.1 | -0.3 | 1.3 | -0.2 |
| 2015 | -0.3 | 0.5 | 0.4 | 0.6 | 0 | 0 | 0.5 | 0.2 | -0.5 | -0.5 | -0.6 | -0.2 | 0 |
| 2016 | 0 | 1.1 | -0.4 | 0 | 0.1 | 0.8 | -0.8 | -0.3 | 0.1 | -0.5 | 1 | 0.3 | 1.6 |
| 2017 | -0.2 | 0.7 | -0.1 | -0.2 | -0.1 | 1.1 | 0.1 | 0.1 | 0.1 | -0.3 | -0.2 | -0.1 | 0.8 |
| 2018 | 0.1 | -0.1 | -0.1 | -0.2 | 0.1 | 0 | 0.4 | -0.1 | -0.1 | 0.2 | 0.1 | 0.5 | 0.9 |
| 2019 | 0.6 | -0.2 | 0.7 | 0.2 | -1 | 0 | -0.3 | 0 | 0.2 | 0.4 | 0.4 | -0.1 | 0.9 |
| 2020 | -0.4 | -2.7 | -2.4 | -1.4 | 0.9 | 0.5 | 0.5 | 0.4 | 0.4 | 0.1 | 0.9 | 1 | -2.1 |
| 2021 | 2.3 | 0.4 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2003-10-29 20 SPY 105. 0.0013 0.0158 0.0523 0.0583 0.188 -0.252 NA <NA> NA NA NA
2 2003-10-30 20.0 SPY 105. 0.0021 0.0198 0.0325 0.0699 0.179 -0.245 NA <NA> NA NA NA
3 2003-10-31 20.0 SPY 105. -0.0009 0.0166 0.0278 0.0689 0.190 -0.228 NA <NA> NA NA NA
4 2003-11-03 20 SPY 106. 0.0066 0.0228 0.0251 0.0993 0.174 -0.225 NA <NA> NA NA NA
5 2003-11-04 20.0 SPY 106. -0.0022 0.0069 0.0183 0.0905 0.160 -0.241 NA <NA> NA NA NA
6 2003-11-05 20 SPY 106. 0.0008 0.0063 0.0152 0.08 0.152 -0.247 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
